Results 31 to 40 of about 129,079 (132)
Pricing Continuously Monitored Barrier Options under the SABR Model: A Closed-Form Approximation
Journal of Management Science and Engineering, 2017 The stochastic alpha beta rho (SABR) model introduced by Hagan et al. (2002) is widely used in both fixed income and the foreign exchange (FX) markets. Continuously monitored barrier option contracts are among the most popular derivative contracts in the
Nian Yang, Yanchu Liu, Zhenyu Cui
doaj +1 more source
Arbitrage-free prediction of the implied volatility smile [PDF]
, 2014 This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices.
Dellaportas, Petros +1 more
core +2 more sources
A Non-Gaussian Option Pricing Model with Skew [PDF]
, 2004 Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L.
Borland, L., Bouchaud, J. P.
core +3 more sources
Hyperbolic Normal Stochastic Volatility Model [PDF]
Journal of futures markets, 2018 For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter extension of the normal stochastic alpha-beta-rho (SABR) model.
Jaehyuk Choi, Chenru Liu, Byoung Ki Seo
semanticscholar +1 more source
A Stochastic Volatility LIBOR Market Model with a Closed Form Solution [PDF]
, 2008 Since its initial publication the SABR model has gained widespread use across asset classes and it has now become the standard pricing framework used in the market to quote interest rate products sensitive to the non flat strike-structure of the market
Nada, Hazim, Nada, Hazim
core +1 more source
Sabr Type Stochastic Volatility Operator in Hilbert Space
Social Science Research Network, 2020 In this paper, we define stochastic volatility operators in Hilbert space which are analogs to the widely-used SABR model [14] in finite dimensional case. We show the existence of the mild solution and some related regularity properties.
R. Douady, Zeyu Cao
semanticscholar +1 more source
Rough PDEs for Local Stochastic Volatility Models
Mathematical Finance, Volume 35, Issue 3, Page 661-681, July 2025.ABSTRACT In this work, we introduce a novel pricing methodology in general, possibly non‐Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics on the Brownian motion that drives the volatility, one obtains a time‐inhomogeneous Markov process. Using tools from rough path theory, we describe how to precisely
Peter Bank +3 more
wiley +1 more source
Option Contracts in the DeFi Ecosystem: Opportunities, Solutions, and Technical Challenges
International Journal of Network Management, Volume 35, Issue 2, March/April 2025.We investigate options derivatives on cryptocurrencies: We begin by motivating the reader with applications of options, and then, we study the design of the predominant decentralized options exchanges. Lastly, we perform numerical analysis to assess liquidity inefficiencies in the Uniswap exchange due to the lack of an options market.
Srisht Fateh Singh +4 more
wiley +1 more source
, 2023 Journal of Medical Radiation Sciences, Volume 70, Issue S1, Page 3-81, April 2023.
wiley +1 more source
A Load‐Balancing Enhancement to Schedule‐Aware Bundle Routing
International Journal of Satellite Communications and Networking, Volume 43, Issue 2, Page 122-130, March/April 2025.ABSTRACT Delay‐ and disruption‐tolerant networking (DTN) enables communication in networks afflicted by long propagation delays and sporadic connectivity. DTN routing techniques such as schedule‐aware bundle routing (SABR) exist to route data bundles in deterministic networks, such as those found in deep‐space environments, where node contacts are ...
Jason J. Kamps +2 more
wiley +1 more source